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Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns

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  1. Ferreira, Paulo & Pereira, Éder & Silva, Marcus, 2020. "The relationship between oil prices and the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  2. Cheema, Muhammad A. & Scrimgeour, Frank, 2019. "Oil prices and stock market anomalies," Energy Economics, Elsevier, vol. 83(C), pages 578-587.
  3. Ding, Zhihua & Liu, Zhenhua & Zhang, Yuejun & Long, Ruyin, 2017. "The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment," Applied Energy, Elsevier, vol. 187(C), pages 27-36.
  4. Shahzad, Syed Jawad Hussain & Mensi, Walid & Hammoudeh, Shawkat & Rehman, Mobeen Ur & Al-Yahyaee, Khamis H., 2018. "Extreme dependence and risk spillovers between oil and Islamic stock markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 42-63.
  5. Saeed Shavvalpour & Hossein Khanjarpanah & Farhad Zamani & Armin Jabbarzadeh, 2017. "Petrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 21(2), pages 383-403, Spring.
  6. Rodríguez-Nava, Abigail & Venegas-Martínez, Francisco & Coronado, Semei & Rojas, Omar, 2018. "Oil prices and stock markets returns: a comparison among Brazil, Chile, and Mexico," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Universidad de Guadalajara & Instituto Politécnico Nacional (ed.), Recent Topics in Time Series and Finance: Theory and Applications in Emerging Markets, volume 2, chapter 8, pages 199-210, Escuela Superior de Economía, Instituto Politécnico Nacional.
  7. Aviral Kumar Tiwari & Samia Nasreen & Subhan Ullah & Muhammad Shahbaz, 2021. "Analysing spillover between returns and volatility series of oil across major stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2458-2490, April.
  8. Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014. "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 286-299.
  9. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2019. "A sectoral analysis of asymmetric nexus between oil price and stock returns," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 241-259.
  10. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Imhotep Paul Alagidede & Shawkat Hammoudeh, 2023. "Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis," Empirical Economics, Springer, vol. 65(3), pages 1027-1103, September.
  11. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
  12. Civcir, Irfan & Akkoc, Ugur, 2021. "Non-linear ARDL approach to the oil-stock nexus: Detailed sectoral analysis of the Turkish stock market," Resources Policy, Elsevier, vol. 74(C).
  13. Arturo Lorenzo Valdés & Leticia Armenta Fraire & Rocío Durán Vázquez, 2016. "A copula-TGARCH approach of conditional dependence between oil price and stock market index: the case of Mexico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 31(1), pages 47-63.
  14. Escribano, Ana & Koczar, Monika W. & Jareño, Francisco & Esparcia, Carlos, 2023. "Shock transmission between crude oil prices and stock markets," Resources Policy, Elsevier, vol. 83(C).
  15. He, Zhifang, 2020. "Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 131-153.
  16. Lu Yang & Lei Yang & Kung-Cheng Ho & Shigeyuki Hamori, 2019. "Determinants of the Long-Term Correlation between Crude Oil and Stock Markets," Energies, MDPI, vol. 12(21), pages 1-15, October.
  17. Hanif, Waqas & Arreola Hernandez, Jose & Sadorsky, Perry & Yoon, Seong-Min, 2020. "Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  18. Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Shahzad, Syed Jawad Hussain, 2017. "Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 453-483.
  19. Jiang, Wei & Liu, Yan, 2021. "The asymmetric effect of crude oil prices on stock prices in major international financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  20. Mouna Youssef & Khaled Mokni, 2023. "Herding behavior in stock markets of oil-importing and oil-exporting countries: the role of oil price," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 44-58, February.
  21. Nguyen, Hoang & Virbickaitė, Audronė, 2023. "Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models," Energy Economics, Elsevier, vol. 124(C).
  22. Pal, Debdatta & Mitra, Subrata K., 2019. "Oil price and automobile stock return co-movement: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 76(C), pages 172-181.
  23. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
  24. Babak Fazelabdolabadi, 2019. "Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-20, December.
  25. Paulo F. Marschner & Paulo Sergio Ceretta, 2021. "The impact of oil price shocks on latin american stock markets: a behavioral approach," Economics Bulletin, AccessEcon, vol. 41(2), pages 457-467.
  26. Janani Sri S. & Parthajit Kayal & G. Balasubramanian, 2022. "Can Equity be Safe-haven for Investment?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(1), pages 32-63, March.
  27. Ghosh, Sajal & Kanjilal, Kakali, 2016. "Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests," Energy Economics, Elsevier, vol. 53(C), pages 111-117.
  28. Sheng Fang & Paul Egan, 2021. "Tail dependence between oil prices and China's A‐shares: Evidence from firm‐level data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1469-1487, January.
  29. Cai, Xiao Jing & Tian, Shuairu & Yuan, Nannan & Hamori, Shigeyuki, 2017. "Interdependence between oil and East Asian stock markets: Evidence from wavelet coherence analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 206-223.
  30. Yang, Ann Shawing & Pangastuti, Airin, 2016. "Stock market efficiency and liquidity: The Indonesia Stock Exchange merger," Research in International Business and Finance, Elsevier, vol. 36(C), pages 28-40.
  31. Trabelsi, Nader, 2017. "Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 26-41.
  32. Jiang, Cuixia & Li, Yuqian & Xu, Qifa & Liu, Yezheng, 2021. "Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 386-398.
  33. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu & Kyophilavong, Phouphet, 2015. "Frequency domain causality analysis of stock market and economic activity in India," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 224-238.
  34. Zolfaghari, Mehdi & Ghoddusi, Hamed & Faghihian, Fatemeh, 2020. "Volatility spillovers for energy prices: A diagonal BEKK approach," Energy Economics, Elsevier, vol. 92(C).
  35. Aviral Kumar Tiwari & Sangram Keshari Jena & Satish Kumar & Erik Hille, 2022. "Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach," Annals of Operations Research, Springer, vol. 315(1), pages 429-461, August.
  36. Li, Jie & Li, Ping, 2021. "Empirical analysis of the dynamic dependence between WTI oil and Chinese energy stocks," Energy Economics, Elsevier, vol. 93(C).
  37. Lee, Chien-Chiang & Chen, Mei-Ping, 2020. "Happiness sentiments and the prediction of cross-border country exchange-traded fund returns," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  38. repec:hur:ijaraf:v:5:y:2015:i:1:p:109-129 is not listed on IDEAS
  39. Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
  40. Hong Thai Le & Marta Disegna, 2018. "Responses of macroeconomy and stock markets to structural oil price shocks: New evidence from Asian oil refinery," BAFES Working Papers BAFES25, Department of Accounting, Finance & Economic, Bournemouth University.
  41. Sharma, Susan Sunila & Phan, Dinh Hoang Bach & Iyke, Bernard, 2019. "Do oil prices predict Indonesian macroeconomy?," Economic Modelling, Elsevier, vol. 82(C), pages 2-12.
  42. Población, Javier & Serna, Gregorio, 2016. "Is the refining margin stationary?," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 169-186.
  43. Abdulnasser Hatemi-J & Abdulrahman Al Shayeb & Eduardo Roca, 2017. "The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests," Applied Economics, Taylor & Francis Journals, vol. 49(16), pages 1584-1592, April.
  44. Kumar, Satish & Khalfaoui, Rabeh & Tiwari, Aviral Kumar, 2021. "Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries," Resources Policy, Elsevier, vol. 74(C).
  45. Chen, Qian & Lv, Xin, 2015. "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 121-132.
  46. Asadi, Mehrad & Roudari, Soheil & Tiwari, Aviral Kumar & Roubaud, David, 2023. "Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy," Energy Economics, Elsevier, vol. 118(C).
  47. Zaighum, Isma & Aman, Ameenullah & Sharif, Arshian & Suleman, Muhammad Tahir, 2021. "Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach," Resources Policy, Elsevier, vol. 72(C).
  48. Cortazar, Gonzalo & Ortega, Hector & Rojas, Maximiliano & Schwartz, Eduardo S., 2021. "Commodity index risk premium," Journal of Commodity Markets, Elsevier, vol. 22(C).
  49. Zhu, Xiaoqian & Xie, Yongjia & Li, Jianping & Wu, Dengsheng, 2015. "Change point detection for subprime crisis in American banking: From the perspective of risk dependence," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 18-28.
  50. Sanusi Yakubu Muhammad & Isah Auwal & Bello Abdulmajeed Kumo & Yusuf Fadimah, 2023. "Oil Price and Stock Market Nexus in Nigeria: An Asymmetric Cointegration Based on Non-Linear Ardl Approach," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(11), pages 573-591, November.
  51. Yu, Jia-Wei & Xie, Wen-Jie & Jiang, Zhi-Qiang, 2018. "Early warning model based on correlated networks in global crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1335-1343.
  52. Iqbal Thonse Hawaldar & T. M. Rajesha & Lokesha Lokesha & Adel M. Sarea, 2020. "Causal Nexus between the Anamolies in the Crude Oil Price and Stock Market," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 233-238.
  53. Herrera, Rodrigo & González, Sergio & Clements, Adam, 2018. "Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 70-88.
  54. Yonghong Jiang & Jinqi Mu & He Nie & Lanxin Wu, 2022. "Time‐frequency analysis of risk spillovers from oil to BRICS stock markets: A long‐memory Copula‐CoVaR‐MODWT method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3386-3404, July.
  55. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 397-419.
  56. Muzammil KURSHID & Berna Kirkulak ULUDAG, 2017. "Shock And Volatility Spillovers Between Oil And Some Balkan Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 47-59, December.
  57. Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Kang, Sang Hoon, 2021. "Quantile relationship between Islamic and non-Islamic equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  58. Guoxiang Xu & Wangfeng Gao, 2019. "Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects," Sustainability, MDPI, vol. 11(5), pages 1-20, March.
  59. Aviral Kumar Tiwari & Ibrahim D. Raheem & Seref Bozoklu & Shawkat Hammoudeh, 2022. "The Oil Price‐Macroeconomic fundamentals nexus for emerging market economies: Evidence from a wavelet analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1569-1590, January.
  60. Sarwar, Suleman & Shahbaz, Muhammad & Anwar, Awais & Tiwari, Aviral Kumar, 2019. "The importance of oil assets for portfolio optimization: The analysis of firm level stocks," Energy Economics, Elsevier, vol. 78(C), pages 217-234.
  61. Venkata Sai Srinivasa Rao Muramalla & Hassan Ali Alqahtani, 2020. "Long Run Association of Oil Prices and Stock Prices: A Case of Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 593-600.
  62. Huiming Zhu & Xianfang Su & Yawei Guo & Yinghua Ren, 2016. "The Asymmetric Effects of Oil Price Shocks on the Chinese Stock Market: Evidence from a Quantile Impulse Response Perspective," Sustainability, MDPI, vol. 8(8), pages 1-19, August.
  63. Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
  64. Jing Hao & Feng He & Feng Ma & Tong Fu, 2023. "Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 771-791, June.
  65. Du, Limin & He, Yanan, 2015. "Extreme risk spillovers between crude oil and stock markets," Energy Economics, Elsevier, vol. 51(C), pages 455-465.
  66. Rabhi, Ayoub, 2020. "Stock market vulnerability to the Covid-19 pandemic: Evidence from emerging Asian stock markets," MPRA Paper 101774, University Library of Munich, Germany.
  67. Silvapulle, Param & Smyth, Russell & Zhang, Xibin & Fenech, Jean-Pierre, 2017. "Nonparametric panel data model for crude oil and stock market prices in net oil importing countries," Energy Economics, Elsevier, vol. 67(C), pages 255-267.
  68. Bouri, Elie, 2015. "Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis," Energy Economics, Elsevier, vol. 51(C), pages 590-598.
  69. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula," MPRA Paper 57706, University Library of Munich, Germany.
  70. Seema Wati Narayan & Mobeen Ur Rehman & Yi-Shuai Ren & Chaoqun Ma, 2023. "Is a correlation-based investment strategy beneficial for long-term international portfolio investors?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-26, December.
  71. David C. Broadstock, Ying Fan, Qiang Ji, and Dayong Zhang, 2016. "Shocks and Stocks: A Bottom-up Assessment of the Relationship Between Oil Prices, Gasoline Prices and the Returns of Chinese Firms," The Energy Journal, International Association for Energy Economics, vol. 0(China Spe).
  72. Kassouri, Yacouba & Altıntaş, Halil & Bilgili, Faik, 2020. "An investigation of the financial resource curse hypothesis in oil-exporting countries: The threshold effect of democratic accountability," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
  73. Liu, Bing-Yue & Fan, Ying & Ji, Qiang & Hussain, Nazim, 2022. "High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system," Energy Economics, Elsevier, vol. 105(C).
  74. Salisu, Afees A. & Isah, Kazeem O., 2017. "Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach," Economic Modelling, Elsevier, vol. 66(C), pages 258-271.
  75. Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
  76. Le, Thai-Ha & Chang, Youngho, 2015. "Effects of oil price shocks on the stock market performance: Do nature of shocks and economies matter?," Energy Economics, Elsevier, vol. 51(C), pages 261-274.
  77. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
  78. Ahdi Noomen Ajmi & Ghassen El-montasser & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2167-2177, June.
  79. Xiao, Jihong & Hu, Chunyan & Ouyang, Guangda & Wen, Fenghua, 2019. "Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 80(C), pages 297-309.
  80. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
  81. Pavlova, Ivelina & de Boyrie, Maria E. & Parhizgari, Ali M., 2018. "A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 10-22.
  82. You, Wanhai & Guo, Yawei & Zhu, Huiming & Tang, Yong, 2017. "Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression," Energy Economics, Elsevier, vol. 68(C), pages 1-18.
  83. Kais Tissaoui & Taha Zaghdoudi & Abdelaziz Hakimi & Mariem Nsaibi, 2023. "Do Gas Price and Uncertainty Indices Forecast Crude Oil Prices? Fresh Evidence Through XGBoost Modeling," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 663-687, August.
  84. Balakumar, Suganya & Dash, Saumya Ranjan & Maitra, Debasish & Kang, Sang Hoon, 2022. "Do oil price shocks have any implications for stock return momentum?," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 637-663.
  85. Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.
  86. Zhifang He & Jiaqi Chen & Fangzhao Zhou & Guoqing Zhang & Fenghua Wen, 2022. "Oil price uncertainty and the risk‐return relation in stock markets: Evidence from oil‐importing and oil‐exporting countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1154-1172, January.
  87. Bahmani-Oskooee, Mohsen & Ghodsi, Seyed Hesam & Hadzic, Muris, 2019. "Asymmetric causality between oil price and stock returns:A sectoral analysis," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 165-174.
  88. Peng, Cheng & Zhu, Huiming & Guo, Yawei & Chen, Xiuyun, 2018. "Risk spillover of international crude oil to China's firms: Evidence from granger causality across quantile," Energy Economics, Elsevier, vol. 72(C), pages 188-199.
  89. Sudhi SHARMA & Miklesh YADAV, 2020. "Analyzing the robustness of ARIMA and neural networks as a predictive model of crude oil prices," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(623), S), pages 289-300, Summer.
  90. Ftiti, Zied & Hadhri, Sinda, 2019. "Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 40-55.
  91. Syed Jawad Hussain Shahzad & Elie Bouri & Mobeen Ur Rehman & Muhammad Abubakr Naeem & Tareq Saeed, 2022. "Oil price risk exposure of BRIC stock markets and hedging effectiveness," Annals of Operations Research, Springer, vol. 313(1), pages 145-170, June.
  92. Ji, Qiang & Liu, Bing-Yue & Zhao, Wan-Li & Fan, Ying, 2020. "Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS," International Review of Financial Analysis, Elsevier, vol. 68(C).
  93. Narayan, Seema & Rehman, Mobeen Ur, 2021. "Can home-biased investors diversify interregionally in the long run?," Economic Modelling, Elsevier, vol. 97(C), pages 167-181.
  94. Berna Aydoğan & Gökçe Tunç & Tezer Yelkenci, 2017. "The impact of oil price volatility on net-oil exporter and importer countries’ stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 7(2), pages 231-253, August.
  95. Yu, Hongchu & Fang, Zhixiang & Lu, Feng & Murray, Alan T. & Zhang, Hengcai & Peng, Peng & Mei, Qiang & Chen, Jinhai, 2019. "Impact of oil price fluctuations on tanker maritime network structure and traffic flow changes," Applied Energy, Elsevier, vol. 237(C), pages 390-403.
  96. Yu, Lean & Zha, Rui & Stafylas, Dimitrios & He, Kaijian & Liu, Jia, 2020. "Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models," International Review of Financial Analysis, Elsevier, vol. 68(C).
  97. Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Stanley, H. Eugene, 2016. "Extreme risk spillover effects in world gold markets and the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 55-77.
  98. Silky Vigg Kushwah & Areej Aftab Siddiqui, 2023. "Relationship Between Oil Price Movements and Stock Returns of Oil Firms in Oil Importing Economies," Global Business Review, International Management Institute, vol. 24(5), pages 916-932, October.
  99. Resat Ceylan & Mehmet Ivrendi & Muhammed Shahbaz & Tolga Omay, 2022. "Oil and stock prices: New evidence from a time varying homogenous panel smooth transition VECM for seven developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1085-1100, January.
  100. Mohmmad Enamul Hoque & Soo Wah Low & Mohd Azlan Shah Zaidi, 2020. "Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach," Energies, MDPI, vol. 13(5), pages 1-15, March.
  101. de Boyrie Maria E. & Pavlova Ivelina, 2018. "Equities and Commodities Comovements: Evidence from Emerging Markets," Global Economy Journal, De Gruyter, vol. 18(3), pages 1-14, September.
  102. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
  103. Ravaghi-Ardebili, Zohreh & Manenti, Flavio, 2015. "Unified modeling and feasibility study of novel green pathway of biomass to methanol/dimethylether," Applied Energy, Elsevier, vol. 145(C), pages 278-294.
  104. Zhu, Huiming & Guo, Yawei & You, Wanhai & Xu, Yaqin, 2016. "The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 55(C), pages 30-41.
  105. Zhenhua Liu & Zhihua Ding & Rui Li & Xin Jiang & JyS. Wu & Tao Lv, 2017. "Research on differences of spillover effects between international crude oil price and stock markets in China and America," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 88(1), pages 575-590, August.
  106. Zhang, Dayong, 2017. "Oil shocks and stock markets revisited: Measuring connectedness from a global perspective," Energy Economics, Elsevier, vol. 62(C), pages 323-333.
  107. Chang, Bisharat Hussain & Sharif, Arshian & Aman, Ameenullah & Suki, Norazah Mohd & Salman, Asma & Khan, Syed Abdul Rehman, 2020. "The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach," Resources Policy, Elsevier, vol. 65(C).
  108. Dhaoui, Abderrazak & Saidi, Youssef, 2015. "Oil supply and demand shocks and stock price: Evidence for some OECD countries," MPRA Paper 63556, University Library of Munich, Germany.
  109. Boubaker, Heni & Larbi, Ons Ben, 2022. "Dynamic dependence and hedging strategies in BRICS stock markets with oil during crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 263-279.
  110. Zhu, Huiming & Huang, Hui & Peng, Cheng & Yang, Yan, 2016. "Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression," Economics Discussion Papers 2016-46, Kiel Institute for the World Economy (IfW Kiel).
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